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.idea
.idea
 
 
__pycache__
__pycache__
 
 
data
data
 
 
results/plots
results/plots
 
 
.DS_Store
.DS_Store
 
 
README.md
README.md
 
 
copula_parameters_over_time.png
copula_parameters_over_time.png
 
 
correlation_comparison_analysis.png
correlation_comparison_analysis.png
 
 
default_count_distributions.png
default_count_distributions.png
 
 
default_statistics.csv
default_statistics.csv
 
 
dynamic_correlation_all_models.png
dynamic_correlation_all_models.png
 
 
dynamic_risk_measures.csv
dynamic_risk_measures.csv
 
 
dynamic_risk_measures.png
dynamic_risk_measures.png
 
 
functions.py
functions.py
 
 
loss_boxplots.png
loss_boxplots.png
 
 
loss_cdf.png
loss_cdf.png
 
 
loss_distribution_statistics.csv
loss_distribution_statistics.csv
 
 
loss_distributions_detailed.png
loss_distributions_detailed.png
 
 
loss_distributions_overlay.png
loss_distributions_overlay.png
 
 
loss_distributions_tail.png
loss_distributions_tail.png
 
 
loss_percentiles.csv
loss_percentiles.csv
 
 
loss_qq_plots.png
loss_qq_plots.png
 
 
m3_correlation_comparison.png
m3_correlation_comparison.png
 
 
main.py
main.py
 
 
qq_plots_normal_spi_spx.png
qq_plots_normal_spi_spx.png
 
 
risk_measures_ES_bars.png
risk_measures_ES_bars.png
 
 
risk_measures_VaR_bars.png
risk_measures_VaR_bars.png
 
 
risk_measures_fullsample.csv
risk_measures_fullsample.csv
 
 
rolling_correlation_100w.png
rolling_correlation_100w.png
 
 
rolling_moving_average_100w.png
rolling_moving_average_100w.png
 
 
tcopula.py
tcopula.py
 
 
test_tcopula.py
test_tcopula.py
 
 
test_tcopula_visualization.png
test_tcopula_visualization.png
 
 
weekly_returns_diagnostics.png
weekly_returns_diagnostics.png
 
 

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Quantitative Risk Management Assignment 2025 at University of St. Gallen

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